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Determinants of structured finance issuance: A cross-country comparison
Schuetz, Sebastian A. - 2011
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …
Persistent link: https://www.econbiz.de/10010286571
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Securitization and moral hazard: Evidence from credit score cutoff rules
Bubb, Ryan; Kaufman, Alex - 2011
research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …
Persistent link: https://www.econbiz.de/10010286944
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10009347974
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10010209431
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10008935244
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Who Transfers Credit Risk? Determinants of the Use of Credit Derivatives by Large US Banks
Ashraf, Dawood - 2013
Credit derivatives enable banks to transfer selected credit risks to third parties. An empirical model is developed for the motivation for bank participation in credit derivative markets and, conditional on participation, the factors that determine the volume of business transacted....
Persistent link: https://www.econbiz.de/10013074971
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Securitization and moral hazard: Evidence from a lender cutoff rule
Bubb, Ryan; Kaufman, Alex - 2009
. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …
Persistent link: https://www.econbiz.de/10010286943
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Determinants of structured finance issuance : a cross-country comparison
Schuetz, Sebastian A. - 2011 - This version: February 2011
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …
Persistent link: https://www.econbiz.de/10008907723
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Securitization and moral hazard : evidence from credit score cutoff rules
Bubb, Ryan; Kaufman, Alex - 2011 - This version: August 30, 2011
research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …
Persistent link: https://www.econbiz.de/10009298472
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Securitization and moral hazard : evidence from a lender cutoff rule
Bubb, Ryan; Kaufman, Alex - 2009
. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …
Persistent link: https://www.econbiz.de/10003941871